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Claims reserving in the presence of excess-of-loss reinsurance using micro models based on aggregate data

Margraf, C., Elpidorou, V. and Verrall, R. J. (2018). Claims reserving in the presence of excess-of-loss reinsurance using micro models based on aggregate data. Insurance: Mathematics and Economics, 80, pp. 54-65. doi: 10.1016/j.insmatheco.2018.03.001

Abstract

This paper addresses a new problem in the literature, which is how to consider reserving issues for a portfolio of general insurance policies when there is excess-of-loss reinsurance. This is very important for pricing considerations and for decision making regarding capital issues. The paper sets out how this is currently often tackled in practice and provides an alternative approach using recent developments in stochastic claims reserving. These alternative approaches are illustrated and compared in an example using real data. The stochastic modelling framework used in this paper is Double Chain Ladder, but other approaches would also be possible. The paper sets out an approach which could be explored further and built on in future research.

Publication Type: Article
Additional Information: © 2018, Elsevier. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/
Publisher Keywords: General Insurance; Claims Reserving; Risk
Departments: Cass Business School > Actuarial Science & Insurance
URI: http://openaccess.city.ac.uk/id/eprint/19217
[img] Text - Accepted Version
This document is not freely accessible until 12 September 2019 due to copyright restrictions.
Available under License Creative Commons Attribution Non-commercial No Derivatives.

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